LSJ Legend  Posts: 515 Joined: 8/17/2006 Location: Citrus Springs, FL  User Profile | I wondered about that too, DesertDude but ignored it and just looked at the big picture. Going through all of my Port Sims I see the same thing, a negative average profit %. Another thing I wondered about was the negative Sharpe Ratio in all cases. Knowing that the Sharpe Ratio is based on the portfolio return minus the risk-free rate of return divided by the standard deviation may be a clue to these negative results. OT, by definition, calls it a modified sharpe ratio which doesn't use the risk-free ROR so I don't know how that is getting a negative value. In both cases it looks like the SD would have to be a negative value to get negative results. Looks like N may have to weigh in on this. [Edited by LSJ on 6/30/2018 6:28 AM] | |
